Red penalty flag = piece of red material in 8" x 8" square, handful of beads or golf ball, really strong rubber bands or zip tie. Put the center of the material in palm of hand, place beads or golf ball in the middle of hand, fold over the material and tighten rubber bands or zip tie around the part of the "flag" just above the center. You now have a cheap, home made penalty flag.
Or you can buy them here for $6.95 plus shipping...
http://www.theofficialschoice.com/footballflag.aspx